## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-29   0   0   0   0   0   0   0 200
## 
## Performance summary :
##  CAGR    Best    Worst   
##  33.7    13.6    -14.6   
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 77.3 Win.Percent.Day 50.9
Cagr 35.53 Avg.Trade 5.2 Best.Day 13.6
Sharpe 1.29 Avg.Win 8 Worst.Day -14.6
DVR 1.06 Avg.Loss -4 Win.Percent.Month 69.8
Volatility 25.1 Best.Trade 54.14 Best.Month 37
MaxDD -31.08 Worst.Trade -15.99 Worst.Month -18.3
AvgDD -3.71 WinLoss.Ratio 1.98 Win.Percent.Year 91.3
VaR -2.17 Avg.Len 38.96 Best.Year 134.6
CVaR -3.83 Num.Trades 141 Worst.Year -0.1
Exposure 95.93
Roll.TwelveM 66.5812122321919

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  1.9" "  8.9" " 16.3" "-11.1"
## 1998 "  2.4" " -0.5" " 10.3" "  1.9" " -3.5" "  2.7" " -1.5" "  6.5"
## 1999 "  8.2" " -7.3" "  1.4" " 32.8" " -8.4" "  0.3" "  0.3" "  0.3"
## 2000 " -0.4" "  1.5" "  1.4" " -6.7" "  0.6" "  2.6" "  1.8" "  2.9"
## 2001 "  2.6" "  2.3" " -0.3" " -2.3" "  3.0" "  1.0" "  7.8" "  3.6"
## 2002 "  5.6" "  2.4" " -6.3" "  3.1" "  2.1" "  3.4" "  4.9" "  5.0"
## 2003 " -1.7" "  4.0" " -0.8" "  4.7" " 12.5" " 11.9" " 14.3" " -0.1"
## 2004 "  6.1" "  8.4" "  0.6" "-15.4" "  0.0" "  0.0" "  0.6" "  6.2"
## 2005 " -0.4" " 18.4" "-13.3" "  1.0" "  3.7" "  6.9" " 14.2" "  3.0"
## 2006 " 24.0" " -4.6" "  1.9" "  0.4" "  0.3" "  0.5" "  1.3" "  5.0"
## 2007 " -0.3" " -5.3" "  5.4" "  7.6" "  6.2" "  1.0" "  1.8" "  4.5"
## 2008 "  6.8" "  2.4" "  2.6" " -4.8" "  3.3" "  0.5" "  1.4" "  3.0"
## 2009 " -3.7" "-10.2" "  6.6" " -5.5" " 37.0" " -5.7" " 22.0" " -2.0"
## 2010 "  2.5" "  1.0" " 16.8" " -0.8" "-16.0" "  6.1" "  1.8" " -5.3"
## 2011 "  0.3" "  6.9" " -5.5" "  6.6" " -5.6" " -3.6" " -5.1" "  9.4"
## 2012 "  4.3" " 10.9" "  6.6" " -1.4" "  5.8" " -0.9" "  2.3" " -0.1"
## 2013 " -2.6" "  0.1" "  7.3" "  3.1" " -6.0" " -0.2" "  0.3" " -0.2"
## 2014 "  3.8" "  2.3" " -0.9" "  1.3" "  4.6" "  6.4" "  2.6" "  7.7"
## 2015 "  8.7" " -4.9" "  0.3" " -1.3" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  1.3" "  3.0" " -0.2" "  1.7" " -6.6" "  6.3" "  2.6" "  1.5"
## 2017 "  0.2" "  0.1" "  0.2" "  0.4" "  6.9" "  1.2" "  5.8" "  5.9"
## 2018 " 17.6" " -0.2" "  0.5" " -0.5" "  0.7" "  0.4" " -0.1" "  0.0"
## 2019 " -0.1" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.9" "  1.5" "  1.6" "  1.2" "  1.9" "  2.3" "  4.3" "  2.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  1.6" " -7.5" "  1.3" "  3.3" " 12.8" "-24.1"
## 1998 "  7.4" " -1.6" " 12.3" " 11.6" " 57.4" " -8.5"
## 1999 "  1.7" "  0.5" "  3.9" " 30.4" " 73.1" "-18.8"
## 2000 "-10.4" "  1.8" "  4.3" "  4.8" "  3.1" "-20.3"
## 2001 " -2.0" "  4.5" " -4.6" " -0.5" " 15.6" "-10.2"
## 2002 "  7.8" " -2.6" " -4.2" " -5.3" " 15.7" "-12.0"
## 2003 "  9.2" " 18.8" "  2.0" " 16.0" "134.6" " -7.7"
## 2004 " 11.5" "  4.5" " 21.2" " 10.8" " 63.4" "-21.9"
## 2005 " 17.0" " -0.2" "  0.8" " 13.3" " 79.8" "-18.1"
## 2006 "  0.4" "  6.6" " 15.0" "  8.0" " 72.7" "-13.3"
## 2007 " 20.0" " 26.4" "-18.3" "  0.0" " 51.4" "-31.1"
## 2008 " -0.4" "  2.2" "  2.2" " 10.5" " 33.0" " -9.1"
## 2009 "  7.7" " -5.7" " 14.2" "  6.1" " 65.7" "-22.1"
## 2010 " -0.1" "  6.0" " -6.1" " 14.2" " 17.0" "-26.4"
## 2011 "  4.5" " -2.6" " -1.3" "  4.0" "  6.6" "-21.5"
## 2012 "  2.2" " -1.3" "  5.3" "  8.6" " 50.3" "-11.1"
## 2013 "  0.4" "  6.4" "  6.0" "  0.4" " 15.3" "-12.8"
## 2014 "-14.1" "  0.5" "  2.6" "  0.2" " 16.4" "-18.4"
## 2015 "  3.1" " -1.3" " -0.3" " -2.2" "  2.0" " -8.5"
## 2016 "  3.7" "  0.5" " -0.9" "  0.1" " 13.1" "-18.0"
## 2017 " -1.1" "  3.6" " -0.8" "  2.6" " 27.4" " -6.8"
## 2018 " -2.4" " -4.1" "  0.8" "  5.7" " 18.2" "-10.0"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.1" " -3.4"
## Avg  "  3.1" "  2.5" "  2.5" "  6.5" " 36.7" "-15.4"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
10.0752013 11.665746 6.28489094 20.9423736 10.8611220 7.6782542 2.5058989 6.6108696
symbol weight entry.date exit.date nhold entry.price exit.price return
[129,] VWO 200 2017-07-31 2017-09-29 60 41.19 42.22 4.98
[130,] VEA 200 2017-09-29 2017-10-31 32 41.7 42.44 3.55
[131,] VWO 200 2017-10-31 2017-11-30 30 43.25 43.1 -0.67
[132,] VOO 200 2017-11-30 2017-12-29 29 237.59 240.64 2.57
[133,] VWO 200 2017-12-29 2018-01-31 33 44.7 48.52 17.12
[134,] SHY 200 2018-01-31 2018-05-31 120 82.18 82.39 0.53
[135,] IEF 200 2018-05-31 2018-06-29 29 100.87 101.07 0.39
[136,] SHY 200 2018-06-29 2018-07-31 32 82.43 82.38 -0.12
[137,] LQD 200 2018-07-31 2018-08-31 31 113.62 113.64 0.04
[138,] IEF 200 2018-08-31 2018-09-28 28 101.56 100.33 -2.41
[139,] LQD 200 2018-09-28 2018-10-31 33 113.48 111.16 -4.1
[140,] SHY 200 2018-10-31 2018-11-30 30 82.67 82.99 0.76
[141,] IEF 200 2018-11-30 2019-01-29 60 101.36 104.16 5.53
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 77.3 Win.Percent.Day 50.9
Cagr 35.53 Avg.Trade 5.2 Best.Day 13.6
Sharpe 1.29 Avg.Win 8 Worst.Day -14.6
DVR 1.06 Avg.Loss -4 Win.Percent.Month 69.8
Volatility 25.1 Best.Trade 54.14 Best.Month 37
MaxDD -31.08 Worst.Trade -15.99 Worst.Month -18.3
AvgDD -3.71 WinLoss.Ratio 1.98 Win.Percent.Year 91.3
VaR -2.17 Avg.Len 38.96 Best.Year 134.6
CVaR -3.83 Num.Trades 141 Worst.Year -0.1
Exposure 95.93
Roll.TwelveM 66.5812122321919

With varying leverage

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY    IEF
## 2019-01-29   0   0   0   0   0   0   0 477.02
## 
## Performance summary :
##  CAGR    Best    Worst   
##  41.8    8.6 -8.6    
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 70.6 Win.Percent.Day 50.9
Cagr 44.15 Avg.Trade 3.3 Best.Day 8.6
Sharpe 1.7 Avg.Win 6.1 Worst.Day -8.6
DVR 1.23 Avg.Loss -3.6 Win.Percent.Month 69.8
Volatility 21.98 Best.Trade 26.04 Best.Month 28.6
MaxDD -24.49 Worst.Trade -14.24 Worst.Month -13.6
AvgDD -3.04 WinLoss.Ratio 1.68 Win.Percent.Year 91.3
VaR -2.07 Avg.Len 20.97 Best.Year 100.6
CVaR -3.04 Num.Trades 262 Worst.Year -0.4
Exposure 95.93
Roll.TwelveM 67.1488738326314

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.6" "  5.2" " 12.0" " -6.8"
## 1998 "  3.8" " -0.6" "  7.6" "  1.7" " -2.7" "  3.9" " -2.6" " 28.6"
## 1999 "  4.3" " -8.9" "  5.7" " 20.6" " -4.6" "  1.3" "  1.0" "  0.9"
## 2000 " -2.4" "  7.9" "  5.7" " -2.3" "  2.7" " 12.6" "  3.6" "  4.4"
## 2001 "  5.1" "  2.5" " -0.3" " -4.2" "  1.3" "  1.0" " 10.4" "  5.0"
## 2002 "  2.8" "  2.5" " -8.3" " 15.1" "  5.0" "  7.1" "  8.8" "  6.7"
## 2003 " -3.5" "  5.4" " -1.7" "  7.8" "  6.5" "  8.0" " 10.6" " -0.9"
## 2004 "  4.5" "  5.5" "  0.5" "-10.1" " -0.2" " -0.5" "  2.9" " 10.2"
## 2005 " -0.3" " 17.6" "-13.3" " 10.3" "  6.2" "  3.4" " 11.5" "  6.5"
## 2006 " 20.0" " -2.2" "  1.1" "  3.2" "  2.9" "  5.3" " 12.8" "  2.7"
## 2007 "  0.0" " -2.6" "  4.7" "  2.6" "  5.0" "  8.7" " 13.7" "  7.7"
## 2008 "  6.3" "  2.6" "  2.4" " -4.1" "  1.4" "  1.9" "  1.6" "  3.8"
## 2009 " -2.5" " -6.7" "  5.9" " -5.5" "  7.0" " -1.0" "  7.3" " -0.4"
## 2010 "  3.9" "  1.8" "  5.9" " -0.3" "-13.0" "  7.6" "  2.3" " -2.3"
## 2011 "  1.6" "  9.1" " -3.9" "  3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 "  6.0" "  5.0" "  7.8" " -1.5" "  9.2" " -2.2" "  1.3" " -0.5"
## 2013 " -7.3" "  4.1" "  7.4" "  6.5" " -3.7" " -6.5" "  5.6" " -2.7"
## 2014 "  8.4" "  5.5" " -0.5" "  1.4" "  3.7" "  5.4" "  2.6" "  6.8"
## 2015 " 13.9" " -5.9" "  0.4" " -1.7" "  0.8" "  0.6" "  0.8" "  0.1"
## 2016 " 18.2" "  5.5" " -0.3" "  0.9" " -3.5" " 16.9" "  5.7" "  0.7"
## 2017 "  2.5" "  0.6" "  0.2" "  3.8" "  9.4" "  1.3" "  6.9" "  4.8"
## 2018 " 13.0" " -4.4" "  6.0" " -6.9" " 10.5" "  0.8" " -1.1" "  0.0"
## 2019 " -0.4" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  4.4" "  2.1" "  1.6" "  1.9" "  2.0" "  3.5" "  5.3" "  3.9"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  8.0" " -4.3" "  1.4" "  4.7" " 23.6" "-13.4"
## 1998 " 20.5" " -2.6" "  5.0" "  7.7" " 89.8" "-10.7"
## 1999 "  6.8" "  2.0" "  1.8" " 21.9" " 61.4" "-17.4"
## 2000 " -7.8" "  5.6" " 14.7" " 14.0" " 73.4" "-10.4"
## 2001 " -3.1" "  6.5" " -5.2" " -1.5" " 17.6" "-12.4"
## 2002 "  8.6" " -3.3" " -4.9" " -3.4" " 40.1" "-11.6"
## 2003 "  9.6" " 20.4" "  1.6" " 10.2" "100.6" "-13.3"
## 2004 " 12.2" "  4.6" " 17.0" "  8.0" " 66.5" "-21.0"
## 2005 "  7.7" " -1.3" "  7.8" "  6.0" " 77.7" "-18.1"
## 2006 "  0.3" "  9.4" "  8.2" "  5.2" " 92.1" " -7.4"
## 2007 "  4.1" "  7.7" " -5.2" "  0.0" " 55.1" "-13.1"
## 2008 " -0.8" "  6.5" "  6.4" "  8.2" " 41.7" "-10.8"
## 2009 "  4.0" " -2.3" "  4.9" "  1.9" " 11.9" "-10.2"
## 2010 " -0.1" "  3.8" " -3.9" " 11.9" " 16.4" "-20.3"
## 2011 "  3.5" " -2.8" " -0.1" "  4.3" " 18.0" "-17.4"
## 2012 "  4.2" " -0.7" "  3.8" "  5.9" " 44.7" "-14.4"
## 2013 "  8.8" "  4.6" "  5.0" "  0.8" " 22.9" "-18.3"
## 2014 "-11.3" "  6.7" "  4.6" "  0.2" " 37.2" "-14.9"
## 2015 "  5.2" " -2.0" " -0.7" " -6.2" "  4.0" "-11.5"
## 2016 "  3.3" "  0.3" "-13.6" "  1.7" " 37.0" "-21.6"
## 2017 " -1.1" "  5.2" " -0.7" "  4.1" " 43.3" " -7.3"
## 2018 " -7.7" "-11.0" " 11.1" " 16.7" " 24.9" "-24.5"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.4" " -8.1"
## Avg  "  3.4" "  2.4" "  2.7" "  5.6" " 43.4" "-14.3"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
10.0752013 11.665746 6.28489094 20.9423736 10.8611220 7.6782542 2.5058989 6.6108696
symbol weight entry.date exit.date nhold entry.price exit.price return
[250,] VWO 149.4 2017-12-29 2018-01-31 33 44.7 48.52 12.79
[251,] SHY 3889.2 2018-01-31 2018-02-28 28 82.18 82.1 -3.91
[252,] SHY 2401.3 2018-02-28 2018-03-29 29 82.1 82.3 5.93
[253,] SHY 2994 2018-03-29 2018-04-30 32 82.3 82.11 -7.03
[254,] SHY 3000.5 2018-04-30 2018-05-31 31 82.11 82.39 10.57
[255,] IEF 434.4 2018-05-31 2018-06-29 29 100.87 101.07 0.86
[256,] SHY 1845.8 2018-06-29 2018-07-31 32 82.43 82.38 -1.11
[257,] LQD 545.7 2018-07-31 2018-08-31 31 113.62 113.64 0.11
[258,] IEF 650.2 2018-08-31 2018-09-28 28 101.56 100.33 -7.83
[259,] LQD 552.8 2018-09-28 2018-10-31 33 113.48 111.16 -11.33
[260,] SHY 2819.7 2018-10-31 2018-11-30 30 82.67 82.99 10.74
[261,] IEF 566.7 2018-11-30 2018-12-31 31 101.36 104.2 15.89
[262,] IEF 477 2018-12-31 2019-01-29 29 104.2 104.16 -0.18
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 70.6 Win.Percent.Day 50.9
Cagr 44.15 Avg.Trade 3.3 Best.Day 8.6
Sharpe 1.7 Avg.Win 6.1 Worst.Day -8.6
DVR 1.23 Avg.Loss -3.6 Win.Percent.Month 69.8
Volatility 21.98 Best.Trade 26.04 Best.Month 28.6
MaxDD -24.49 Worst.Trade -14.24 Worst.Month -13.6
AvgDD -3.04 WinLoss.Ratio 1.68 Win.Percent.Year 91.3
VaR -2.07 Avg.Len 20.97 Best.Year 100.6
CVaR -3.04 Num.Trades 262 Worst.Year -0.4
Exposure 95.93
Roll.TwelveM 67.1488738326314

Max leverage 3

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-29   0   0   0   0   0   0   0 300
## 
## Performance summary :
##  CAGR    Best    Worst   
##  29.8    7.1 -8.6    
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 71.4 Win.Percent.Day 50.9
Cagr 31.32 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.54 Avg.Win 5.5 Worst.Day -8.6
DVR 1.24 Avg.Loss -3.5 Win.Percent.Month 69.8
Volatility 18 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.7 WinLoss.Ratio 1.57 Win.Percent.Year 91.3
VaR -1.72 Avg.Len 25.32 Best.Year 103.6
CVaR -2.66 Num.Trades 217 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 67.0023805163889

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.6" "  5.2" " 12.0" " -6.8"
## 1998 "  3.4" " -0.6" "  7.6" "  1.7" " -2.7" "  3.9" " -2.3" "  9.8"
## 1999 "  4.3" " -8.9" "  2.1" " 20.6" " -4.6" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -2.3" "  0.9" "  3.9" "  2.6" "  4.4"
## 2001 "  3.9" "  2.5" " -0.3" " -3.5" "  1.3" "  1.0" " 10.4" "  5.0"
## 2002 "  2.8" "  2.5" " -8.3" "  4.7" "  3.1" "  5.2" "  7.4" "  6.7"
## 2003 " -2.6" "  5.4" " -1.3" "  7.2" "  6.5" "  8.0" " 10.6" " -0.1"
## 2004 "  4.5" "  5.5" "  0.5" "-10.1" "  0.0" " -0.1" "  0.8" "  9.4"
## 2005 " -0.3" " 17.6" "-13.3" "  1.6" "  5.6" "  3.4" " 11.5" "  4.5"
## 2006 " 20.0" " -2.2" "  1.1" "  0.7" "  0.5" "  0.7" "  2.0" "  2.7"
## 2007 "  0.0" " -2.6" "  4.7" "  2.6" "  5.0" "  1.4" "  2.7" "  6.9"
## 2008 "  6.3" "  2.6" "  2.4" " -4.1" "  1.4" "  0.7" "  1.6" "  3.8"
## 2009 " -2.5" " -6.7" "  5.9" " -5.5" "  7.0" " -1.0" "  7.3" " -0.4"
## 2010 "  3.7" "  1.5" "  5.9" " -0.3" "-13.0" "  7.6" "  2.3" " -2.3"
## 2011 "  0.4" "  9.1" " -3.9" "  3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 "  6.0" "  5.0" "  7.8" " -1.5" "  8.8" " -1.3" "  1.3" " -0.2"
## 2013 " -3.9" "  0.2" "  7.4" "  4.6" " -3.7" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" " -0.5" "  1.4" "  3.7" "  5.4" "  2.6" "  6.8"
## 2015 " 13.3" " -5.9" "  0.4" " -1.7" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  2.0" "  4.4" " -0.3" "  0.9" " -3.5" "  9.5" "  3.9" "  0.7"
## 2017 "  0.3" "  0.1" "  0.2" "  0.6" "  9.4" "  1.3" "  6.9" "  4.8"
## 2018 " 13.0" " -0.3" "  0.7" " -0.7" "  1.1" "  0.6" " -0.2" "  0.0"
## 2019 " -0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.6" "  1.7" "  1.0" "  1.0" "  1.2" "  2.4" "  3.8" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  2.3" " -4.3" "  1.4" "  4.7" " 17.1" "-14.1"
## 1998 " 11.2" " -2.5" "  5.0" "  7.7" " 49.7" "-10.4"
## 1999 "  2.5" "  0.8" "  1.8" " 21.9" " 45.0" "-12.1"
## 2000 " -7.8" "  2.7" "  6.5" "  7.3" " 23.3" " -9.2"
## 2001 " -3.1" "  6.5" " -5.2" " -0.8" " 17.8" "-12.2"
## 2002 "  8.6" " -3.3" " -4.9" " -3.4" " 21.3" "-11.6"
## 2003 "  9.6" " 20.4" "  1.6" " 10.2" "103.6" "-10.6"
## 2004 " 12.2" "  4.6" " 17.0" "  8.0" " 63.0" "-15.7"
## 2005 "  7.7" " -0.2" "  1.2" "  6.0" " 51.3" "-18.1"
## 2006 "  0.3" "  9.4" "  8.2" "  5.2" " 58.2" " -6.2"
## 2007 "  4.1" "  7.7" " -5.2" "  0.0" " 29.7" "-13.1"
## 2008 " -0.8" "  3.3" "  3.3" "  8.2" " 31.9" " -9.5"
## 2009 "  4.0" " -2.3" "  4.9" "  1.9" " 11.9" "-10.2"
## 2010 " -0.1" "  3.8" " -3.9" " 11.9" " 15.9" "-20.3"
## 2011 "  3.5" " -2.8" " -0.1" "  4.3" " 16.5" "-17.4"
## 2012 "  3.3" " -0.7" "  3.8" "  5.9" " 44.5" " -8.7"
## 2013 "  0.7" "  4.6" "  5.0" "  0.6" " 15.7" " -8.2"
## 2014 "-11.3" "  0.8" "  3.9" "  0.3" " 23.1" "-14.9"
## 2015 "  4.7" " -2.0" " -0.5" " -3.3" "  4.3" "-11.2"
## 2016 "  3.3" "  0.3" " -1.4" "  0.2" " 21.3" " -9.6"
## 2017 " -1.1" "  5.2" " -0.7" "  3.8" " 34.7" " -7.1"
## 2018 " -3.6" " -6.1" "  1.1" "  8.6" " 13.7" "-11.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.2" " -5.1"
## Avg  "  2.3" "  2.1" "  1.9" "  5.0" " 31.0" "-11.6"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
10.0752013 11.665746 6.28489094 20.9423736 10.8611220 7.6782542 2.5058989 6.6108696
symbol weight entry.date exit.date nhold entry.price exit.price return
[205,] VWO 194.6 2017-08-31 2017-09-29 29 42.43 42.22 -0.96
[206,] VEA 289.2 2017-09-29 2017-10-31 32 41.7 42.44 5.13
[207,] VWO 189 2017-10-31 2017-11-30 30 43.25 43.1 -0.64
[208,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[209,] VWO 149.4 2017-12-29 2018-01-31 33 44.7 48.52 12.79
[210,] SHY 300 2018-01-31 2018-05-31 120 82.18 82.39 0.79
[211,] IEF 300 2018-05-31 2018-06-29 29 100.87 101.07 0.59
[212,] SHY 300 2018-06-29 2018-07-31 32 82.43 82.38 -0.18
[213,] LQD 300 2018-07-31 2018-08-31 31 113.62 113.64 0.06
[214,] IEF 300 2018-08-31 2018-09-28 28 101.56 100.33 -3.62
[215,] LQD 300 2018-09-28 2018-10-31 33 113.48 111.16 -6.15
[216,] SHY 300 2018-10-31 2018-11-30 30 82.67 82.99 1.14
[217,] IEF 300 2018-11-30 2019-01-29 60 101.36 104.16 8.29
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 71.4 Win.Percent.Day 50.9
Cagr 31.32 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.54 Avg.Win 5.5 Worst.Day -8.6
DVR 1.24 Avg.Loss -3.5 Win.Percent.Month 69.8
Volatility 18 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.7 WinLoss.Ratio 1.57 Win.Percent.Year 91.3
VaR -1.72 Avg.Len 25.32 Best.Year 103.6
CVaR -2.66 Num.Trades 217 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 67.0023805163889

Remove BND from investible

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-29   0   0   0   0   0   0   0 300
## 
## Performance summary :
##  CAGR    Best    Worst   
##  29.3    7.1 -8.6    
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 71 Win.Percent.Day 50.8
Cagr 30.86 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.52 Avg.Win 5.5 Worst.Day -8.6
DVR 1.23 Avg.Loss -3.5 Win.Percent.Month 69.5
Volatility 18 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.73 WinLoss.Ratio 1.56 Win.Percent.Year 91.3
VaR -1.73 Avg.Len 25.32 Best.Year 103.6
CVaR -2.66 Num.Trades 217 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 66.7460172129647

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.6" "  5.2" " 12.0" " -6.8"
## 1998 "  3.4" " -0.6" "  7.6" "  1.7" " -2.7" "  3.9" " -2.3" "  9.8"
## 1999 "  4.3" " -8.9" "  2.1" " 20.6" " -4.6" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -2.3" "  0.9" "  3.9" " -5.0" "  4.4"
## 2001 "  3.9" "  2.5" " -0.3" " -3.5" "  1.3" "  1.0" " 10.4" "  5.0"
## 2002 "  2.8" "  2.5" " -8.3" "  4.7" "  3.1" "  5.2" "  7.4" "  6.7"
## 2003 " -2.6" "  5.4" " -1.3" "  7.2" "  6.5" "  8.0" " 10.6" " -0.1"
## 2004 "  4.5" "  5.5" "  0.5" "-10.1" "  0.0" " -0.1" "  0.8" "  9.4"
## 2005 " -0.3" " 17.6" "-13.3" "  1.6" "  5.6" "  3.4" " 11.5" "  4.5"
## 2006 " 20.0" " -2.2" "  1.1" "  0.7" "  0.5" "  0.7" "  2.0" "  2.7"
## 2007 "  0.0" " -2.6" "  4.7" "  2.6" "  5.0" "  1.4" "  2.7" "  6.9"
## 2008 "  6.3" "  2.6" "  2.4" " -4.1" "  1.4" "  0.7" "  1.6" "  3.8"
## 2009 " -2.5" " -6.7" "  5.9" " -5.5" "  7.0" " -1.0" "  7.3" " -0.4"
## 2010 "  3.7" "  1.5" "  5.9" " -0.3" "-13.0" "  7.6" "  2.3" " -2.3"
## 2011 "  0.4" "  9.1" " -3.9" "  3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 "  6.0" "  5.0" "  7.8" " -1.5" "  8.8" " -1.3" "  1.3" " -0.2"
## 2013 " -3.9" "  0.2" "  7.4" "  4.6" " -3.7" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" " -0.5" "  1.4" "  3.7" "  5.4" "  2.6" "  6.8"
## 2015 " 13.3" " -5.9" "  0.4" " -1.7" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  2.0" "  4.4" " -0.3" "  0.9" " -3.5" "  9.5" "  3.9" "  0.7"
## 2017 "  0.3" "  0.1" "  0.2" "  0.6" "  9.4" "  1.3" "  6.9" "  4.8"
## 2018 " 13.0" " -0.3" "  0.7" " -0.7" "  1.1" "  0.6" " -0.2" "  0.0"
## 2019 " -0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.6" "  1.7" "  1.0" "  1.0" "  1.2" "  2.4" "  3.4" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  2.3" " -4.3" "  1.4" "  4.7" " 17.1" "-14.1"
## 1998 " 11.2" " -2.5" "  5.0" "  7.7" " 49.7" "-10.4"
## 1999 "  2.5" "  0.8" "  1.8" " 21.9" " 45.0" "-12.1"
## 2000 " -7.8" "  2.7" "  6.5" "  7.3" " 14.2" "-11.2"
## 2001 " -3.1" "  6.5" " -5.2" " -0.8" " 17.8" "-12.2"
## 2002 "  8.6" " -3.3" " -4.9" " -3.4" " 21.3" "-11.6"
## 2003 "  9.6" " 20.4" "  1.6" " 10.2" "103.6" "-10.6"
## 2004 " 12.2" "  4.6" " 17.0" "  8.0" " 63.0" "-15.7"
## 2005 "  7.7" " -0.2" "  1.2" "  6.0" " 51.3" "-18.1"
## 2006 "  0.3" "  9.4" "  8.2" "  5.2" " 58.2" " -6.2"
## 2007 "  4.1" "  7.7" " -5.2" "  0.0" " 29.7" "-13.1"
## 2008 " -0.8" "  3.3" "  3.3" "  8.2" " 31.9" " -9.5"
## 2009 "  4.0" " -2.3" "  4.9" "  1.9" " 11.9" "-10.2"
## 2010 " -0.1" "  3.8" " -3.9" " 11.9" " 15.9" "-20.3"
## 2011 "  3.5" " -2.8" " -0.1" "  4.3" " 16.5" "-17.4"
## 2012 "  3.3" " -0.7" "  3.8" "  5.9" " 44.5" " -8.7"
## 2013 "  0.7" "  4.6" "  5.0" "  0.6" " 15.7" " -8.2"
## 2014 "-11.3" "  0.8" "  3.9" "  0.3" " 23.1" "-14.9"
## 2015 "  4.7" " -2.0" " -0.5" " -3.3" "  4.3" "-11.2"
## 2016 "  3.3" "  0.3" " -1.4" "  0.2" " 21.3" " -9.6"
## 2017 " -1.1" "  5.2" " -0.7" "  3.8" " 34.7" " -7.1"
## 2018 " -3.6" " -6.1" "  1.1" "  8.6" " 13.7" "-11.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.2" " -5.1"
## Avg  "  2.3" "  2.1" "  1.9" "  5.0" " 30.6" "-11.7"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
10.0752013 11.665746 6.28489094 20.9423736 10.8611220 7.6782542 2.5058989 6.6108696
symbol weight entry.date exit.date nhold entry.price exit.price return
[205,] VWO 194.6 2017-08-31 2017-09-29 29 42.43 42.22 -0.96
[206,] VEA 289.2 2017-09-29 2017-10-31 32 41.7 42.44 5.13
[207,] VWO 189 2017-10-31 2017-11-30 30 43.25 43.1 -0.64
[208,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[209,] VWO 149.4 2017-12-29 2018-01-31 33 44.7 48.52 12.79
[210,] SHY 300 2018-01-31 2018-05-31 120 82.18 82.39 0.79
[211,] IEF 300 2018-05-31 2018-06-29 29 100.87 101.07 0.59
[212,] SHY 300 2018-06-29 2018-07-31 32 82.43 82.38 -0.18
[213,] LQD 300 2018-07-31 2018-08-31 31 113.62 113.64 0.06
[214,] IEF 300 2018-08-31 2018-09-28 28 101.56 100.33 -3.62
[215,] LQD 300 2018-09-28 2018-10-31 33 113.48 111.16 -6.15
[216,] SHY 300 2018-10-31 2018-11-30 30 82.67 82.99 1.14
[217,] IEF 300 2018-11-30 2019-01-29 60 101.36 104.16 8.29
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 71 Win.Percent.Day 50.8
Cagr 30.86 Avg.Trade 2.9 Best.Day 7.1
Sharpe 1.52 Avg.Win 5.5 Worst.Day -8.6
DVR 1.23 Avg.Loss -3.5 Win.Percent.Month 69.5
Volatility 18 Best.Trade 21.29 Best.Month 21.9
MaxDD -20.29 Worst.Trade -13.53 Worst.Month -13.3
AvgDD -2.73 WinLoss.Ratio 1.56 Win.Percent.Year 91.3
VaR -1.73 Avg.Len 25.32 Best.Year 103.6
CVaR -2.66 Num.Trades 217 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 66.7460172129647

Latest version with leverage rounding

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-29   0   0   0   0   0   0   0 300
## 
## Performance summary :
##  CAGR    Best    Worst   
##  29.1    6.9 -7.3    
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 72.4 Win.Percent.Day 50.8
Cagr 30.63 Avg.Trade 3.4 Best.Day 6.9
Sharpe 1.52 Avg.Win 6 Worst.Day -7.3
DVR 1.24 Avg.Loss -3.5 Win.Percent.Month 69.1
Volatility 17.86 Best.Trade 24.06 Best.Month 23.8
MaxDD -18.34 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.75 WinLoss.Ratio 1.73 Win.Percent.Year 91.3
VaR -1.73 Avg.Len 29.7 Best.Year 103.5
CVaR -2.64 Num.Trades 185 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 66.8558872001465

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.4" "  4.5" " 12.1" " -5.6"
## 1998 "  3.4" " -0.5" "  7.7" "  1.9" " -2.6" "  4.1" " -2.3" "  9.8"
## 1999 "  4.2" " -9.1" "  2.1" " 23.8" " -4.2" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -3.0" "  0.9" "  3.9" " -4.5" "  4.4"
## 2001 "  3.9" "  2.3" " -0.3" " -3.5" "  1.6" "  1.0" "  9.9" "  5.4"
## 2002 "  2.9" "  2.4" " -7.9" "  4.7" "  3.1" "  5.2" "  7.4" "  6.3"
## 2003 " -2.6" "  5.0" " -1.3" "  7.2" "  6.2" "  8.9" " 10.6" " -0.1"
## 2004 "  4.6" "  6.3" "  0.5" "-11.7" "  0.0" " -0.1" "  0.8" "  9.4"
## 2005 " -0.4" " 18.4" "-13.3" "  1.6" "  5.6" "  3.5" " 10.6" "  4.5"
## 2006 " 17.7" " -2.1" "  1.2" "  0.7" "  0.5" "  0.7" "  2.0" "  2.5"
## 2007 "  0.0" " -2.3" "  4.1" "  1.9" "  4.6" "  1.4" "  2.7" "  6.9"
## 2008 "  6.8" "  2.4" "  2.6" " -3.6" "  1.8" "  0.7" "  1.7" "  3.8"
## 2009 " -2.7" " -7.7" "  6.6" " -5.5" "  8.8" " -1.1" "  5.4" " -0.3"
## 2010 "  3.7" "  1.5" "  4.0" " -0.2" "-12.0" "  7.7" "  2.2" " -2.6"
## 2011 "  0.4" "  8.7" " -3.9" "  3.4" " -4.1" " -2.6" " -2.4" " 11.7"
## 2012 "  5.4" "  5.4" "  8.2" " -1.4" "  8.8" " -1.3" "  1.2" " -0.2"
## 2013 " -3.9" "  0.2" "  7.3" "  4.6" " -4.5" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" " -0.6" "  1.3" "  3.4" "  4.8" "  2.6" "  7.7"
## 2015 " 13.3" " -6.1" "  0.4" " -1.6" "  0.1" "  0.1" "  0.1" "  0.1"
## 2016 "  2.0" "  4.4" " -0.3" "  1.0" " -3.2" "  9.5" "  3.9" "  0.8"
## 2017 "  0.3" "  0.1" "  0.2" "  0.6" "  8.6" "  1.2" "  7.3" "  4.5"
## 2018 " 13.0" " -0.3" "  0.7" " -0.7" "  1.1" "  0.6" " -0.2" "  0.0"
## 2019 " -0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.5" "  1.6" "  1.0" "  1.0" "  1.2" "  2.4" "  3.3" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  2.3" " -3.4" "  1.3" "  5.0" " 19.0" "-11.1"
## 1998 " 11.2" " -2.5" "  6.1" "  8.7" " 53.5" "-10.4"
## 1999 "  2.5" "  0.8" "  2.0" " 22.1" " 49.7" "-11.2"
## 2000 " -7.9" "  2.7" "  6.5" "  7.3" " 13.8" "-10.6"
## 2001 " -3.1" "  6.7" " -4.6" " -0.8" " 18.9" "-12.2"
## 2002 "  7.8" " -3.2" " -5.3" " -4.0" " 19.3" "-12.4"
## 2003 "  9.2" " 18.8" "  1.6" " 11.9" "103.5" "-10.6"
## 2004 " 11.5" "  4.5" " 15.6" "  8.1" " 58.3" "-17.8"
## 2005 "  8.2" " -0.2" "  1.2" "  6.5" " 52.5" "-18.1"
## 2006 "  0.3" "  9.9" "  7.3" "  6.0" " 55.9" " -6.6"
## 2007 "  4.9" "  6.4" " -4.1" "  0.0" " 29.2" "-11.8"
## 2008 " -0.8" "  3.3" "  3.3" "  7.8" " 33.5" " -9.6"
## 2009 "  3.9" " -2.4" "  3.6" "  1.6" "  9.1" "-11.5"
## 2010 " -0.1" "  3.1" " -4.4" " 10.5" " 12.3" "-18.3"
## 2011 "  3.3" " -2.6" " -0.1" "  4.0" " 15.4" "-17.5"
## 2012 "  3.3" " -0.9" "  4.0" "  6.4" " 45.6" " -8.8"
## 2013 "  0.7" "  4.8" "  4.5" "  0.6" " 14.4" " -9.5"
## 2014 "-10.6" "  0.8" "  3.9" "  0.3" " 23.7" "-14.0"
## 2015 "  4.7" " -2.0" " -0.5" " -3.3" "  4.3" "-11.5"
## 2016 "  2.9" "  0.3" " -1.4" "  0.2" " 21.3" " -9.3"
## 2017 " -1.1" "  5.3" " -0.8" "  3.8" " 33.9" " -7.4"
## 2018 " -3.6" " -6.1" "  1.1" "  8.6" " 13.8" "-11.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.2" " -5.1"
## Avg  "  2.3" "  2.0" "  1.9" "  5.1" " 30.5" "-11.6"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
10.0752013 11.665746 6.28489094 20.9423736 10.8611220 7.6782542 2.5058989 6.6108696
symbol weight entry.date exit.date nhold entry.price exit.price return
[173,] VWO 200 2017-08-31 2017-09-29 29 42.43 42.22 -0.99
[174,] VEA 300 2017-09-29 2017-10-31 32 41.7 42.44 5.32
[175,] VWO 200 2017-10-31 2017-11-30 30 43.25 43.1 -0.67
[176,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[177,] VWO 150 2017-12-29 2018-01-31 33 44.7 48.52 12.84
[178,] SHY 300 2018-01-31 2018-05-31 120 82.18 82.39 0.79
[179,] IEF 300 2018-05-31 2018-06-29 29 100.87 101.07 0.59
[180,] SHY 300 2018-06-29 2018-07-31 32 82.43 82.38 -0.18
[181,] LQD 300 2018-07-31 2018-08-31 31 113.62 113.64 0.06
[182,] IEF 300 2018-08-31 2018-09-28 28 101.56 100.33 -3.62
[183,] LQD 300 2018-09-28 2018-10-31 33 113.48 111.16 -6.15
[184,] SHY 300 2018-10-31 2018-11-30 30 82.67 82.99 1.14
[185,] IEF 300 2018-11-30 2019-01-29 60 101.36 104.16 8.29
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 72.4 Win.Percent.Day 50.8
Cagr 30.63 Avg.Trade 3.4 Best.Day 6.9
Sharpe 1.52 Avg.Win 6 Worst.Day -7.3
DVR 1.24 Avg.Loss -3.5 Win.Percent.Month 69.1
Volatility 17.86 Best.Trade 24.06 Best.Month 23.8
MaxDD -18.34 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.75 WinLoss.Ratio 1.73 Win.Percent.Year 91.3
VaR -1.73 Avg.Len 29.7 Best.Year 103.5
CVaR -2.64 Num.Trades 185 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 66.8558872001465

Using volatility as part of the measure

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-29   0   0   0   0   0   0   0 300
## 
## Performance summary :
##  CAGR    Best    Worst   
##  28.6    6.9 -8.6    
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 73.8 Win.Percent.Day 50.5
Cagr 30.1 Avg.Trade 3.4 Best.Day 6.9
Sharpe 1.48 Avg.Win 5.9 Worst.Day -8.6
DVR 1.21 Avg.Loss -3.8 Win.Percent.Month 70.2
Volatility 18.21 Best.Trade 38.32 Best.Month 23.8
MaxDD -22.38 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.8 WinLoss.Ratio 1.56 Win.Percent.Year 87
VaR -1.72 Avg.Len 30.02 Best.Year 113.1
CVaR -2.68 Num.Trades 183 Worst.Year -3.8
Exposure 95.93
Roll.TwelveM 66.7582417582418

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.1" " 11.0" "  3.9" " -5.6"
## 1998 "  3.4" " -0.5" "  7.7" "  1.9" " -2.6" "  4.1" " -2.3" "  2.9"
## 1999 "  4.2" " -9.0" "  2.1" " 23.8" " -4.2" "  0.5" "  0.4" "  0.4"
## 2000 " -0.7" "  2.3" "  2.1" " -3.0" "  0.9" "  3.9" " -4.5" "  4.9"
## 2001 "  3.9" "  2.3" " -0.3" " -3.7" "  1.6" "  1.0" "  4.3" "  5.4"
## 2002 "  2.9" "  2.4" " -2.5" "  6.8" "  1.8" "  2.8" "  7.4" "  6.3"
## 2003 " -2.6" "  5.0" "  0.3" "  7.2" "  6.2" "  8.9" " 10.6" "  2.9"
## 2004 "  3.1" "  5.0" "  0.5" "-11.7" " -1.4" "  0.3" "  0.8" "  2.2"
## 2005 " -0.4" " 18.4" "-13.3" "  4.9" "  1.8" "  0.2" " 10.6" "  6.0"
## 2006 " 17.7" " -2.1" "  4.7" "  0.7" "  0.5" "  0.7" "  2.0" "  2.5"
## 2007 "  2.2" " -5.1" "  4.1" "  3.9" "  7.0" "  1.4" "  2.7" "  6.9"
## 2008 "  6.8" "  2.4" "  2.6" " -3.6" "  1.8" "  0.7" "  1.7" "  1.4"
## 2009 " -5.8" " -1.6" "  6.6" " -5.5" "  8.8" " -1.1" "  5.4" " -0.3"
## 2010 "  3.7" "  1.5" "  6.0" "  3.6" "-12.0" "  7.7" "  2.2" " -2.6"
## 2011 "  0.0" "  8.7" " -0.2" "  3.4" " -2.4" " -2.6" " -2.4" " 11.7"
## 2012 "  2.5" "  8.7" "  8.2" " -1.4" "  2.2" "  2.6" "  1.2" " -0.2"
## 2013 " -3.9" "  0.2" "  7.3" "  0.2" " -4.5" " -0.3" "  0.5" " -0.3"
## 2014 "  5.7" "  3.4" "  1.3" "  1.3" "  3.5" "  3.1" " -4.3" "  7.7"
## 2015 " 13.3" " -6.1" "  2.1" " -1.6" " -1.4" " -5.0" "  0.1" " -0.2"
## 2016 " 10.3" "  4.4" " -0.3" "  0.5" "  3.4" "  9.5" "  3.9" "  0.2"
## 2017 "  0.3" "  0.1" "  0.2" "  0.6" "  8.6" "  1.2" "  7.3" " -0.1"
## 2018 " 17.4" " -6.6" "  0.7" " -0.7" "  1.1" "  0.1" " -0.2" "  1.0"
## 2019 " -0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  3.8" "  1.6" "  1.9" "  1.3" "  1.0" "  2.3" "  2.3" "  2.4"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  6.2" " -3.4" "  1.3" "  5.0" " 21.3" "-10.8"
## 1998 " 11.2" " -2.5" "  6.1" "  8.7" " 43.7" "-10.4"
## 1999 "  2.5" "  0.8" "  6.1" " 22.1" " 55.9" "-11.2"
## 2000 " -7.9" "  2.7" "  6.5" "  8.0" " 15.1" "-10.5"
## 2001 " -3.1" "  6.7" " -4.6" " -1.9" " 11.5" "-12.3"
## 2002 "  7.8" " -3.2" " -5.3" " -4.0" " 24.3" "-12.4"
## 2003 "  9.2" " 18.8" "  1.6" " 11.9" "113.1" " -8.5"
## 2004 " 11.5" "  4.5" " 14.9" "  8.1" " 41.5" "-22.4"
## 2005 "  7.1" " -3.7" "  1.2" "  6.5" " 42.5" "-18.1"
## 2006 "  0.3" "  9.9" "  5.6" "  6.0" " 58.7" " -5.3"
## 2007 "  4.9" "  6.4" " -4.1" "  0.0" " 33.8" "-14.5"
## 2008 " -0.8" "  3.3" "  3.3" "  7.8" " 30.4" " -9.6"
## 2009 "  3.9" " -2.4" "  3.6" "  1.9" " 13.1" " -9.1"
## 2010 " -0.1" "  3.1" " -4.4" " 10.5" " 18.8" "-20.0"
## 2011 "  3.3" " -2.6" " -0.1" "  4.0" " 21.5" "-12.7"
## 2012 "  3.3" " -5.0" "  4.0" "  6.4" " 36.7" "-12.8"
## 2013 "  0.7" "  4.8" "  1.2" " -0.5" "  5.0" " -9.5"
## 2014 " -3.5" "  4.6" "  3.9" "  0.3" " 29.6" "-10.2"
## 2015 "  0.9" " -2.0" " -1.3" " -1.5" " -3.8" "-16.7"
## 2016 " -0.4" "  0.3" " -9.3" "  0.2" " 23.5" "-12.0"
## 2017 " -1.1" "  7.1" "  9.3" "  3.8" " 43.3" " -6.6"
## 2018 " -3.6" "  0.5" "  1.1" "  2.3" " 12.2" "-13.6"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.2" " -5.1"
## Avg  "  2.4" "  2.2" "  1.9" "  4.8" " 30.1" "-11.9"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
10.0752013 11.665746 6.28489094 20.9423736 10.8611220 7.6782542 2.5058989 6.6108696
symbol weight entry.date exit.date nhold entry.price exit.price return
[171,] VOO 300 2017-02-28 2017-03-31 31 208.93 209.21 0.4
[172,] SHY 300 2017-03-31 2017-04-28 28 82.37 82.52 0.56
[173,] VEA 250 2017-04-28 2017-05-31 33 37.99 39.28 8.53
[174,] VEA 200 2017-05-31 2017-06-30 30 39.28 39.53 1.27
[175,] VEA 250 2017-06-30 2017-07-31 31 39.53 40.67 7.2
[176,] VEA 300 2017-07-31 2017-08-31 31 40.67 40.68 0.07
[177,] VWO 200 2017-08-31 2017-09-29 29 42.43 42.22 -0.99
[178,] VOO 300 2017-09-29 2018-01-31 124 225.3 254.08 38.32
[179,] LQD 300 2018-01-31 2018-02-28 28 115.82 113.23 -6.71
[180,] SHY 300 2018-02-28 2018-08-31 184 82.1 82.67 2.09
[181,] IEF 300 2018-08-31 2018-09-28 28 101.56 100.33 -3.62
[182,] SHY 300 2018-09-28 2018-12-31 94 82.55 83.62 3.9
[183,] IEF 300 2018-12-31 2019-01-29 29 104.2 104.16 -0.12
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 73.8 Win.Percent.Day 50.5
Cagr 30.1 Avg.Trade 3.4 Best.Day 6.9
Sharpe 1.48 Avg.Win 5.9 Worst.Day -8.6
DVR 1.21 Avg.Loss -3.8 Win.Percent.Month 70.2
Volatility 18.21 Best.Trade 38.32 Best.Month 23.8
MaxDD -22.38 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.8 WinLoss.Ratio 1.56 Win.Percent.Year 87
VaR -1.72 Avg.Len 30.02 Best.Year 113.1
CVaR -2.68 Num.Trades 183 Worst.Year -3.8
Exposure 95.93
Roll.TwelveM 66.7582417582418

Just SPY and IEF

## Latest weights :
##            VOO VEA BND VWO LQD TLT SHY IEF
## 2019-01-29   0   0   0   0   0   0   0 300
## 
## Performance summary :
##  CAGR    Best    Worst   
##  30.7    6.9 -7.3    
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 69.9 Win.Percent.Day 51.7
Cagr 32.3 Avg.Trade 4.3 Best.Day 6.9
Sharpe 1.5 Avg.Win 7.6 Worst.Day -7.3
DVR 1.25 Avg.Loss -3.5 Win.Percent.Month 65.6
Volatility 19.1 Best.Trade 24.06 Best.Month 23.8
MaxDD -22.75 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.89 WinLoss.Ratio 2.19 Win.Percent.Year 91.3
VaR -1.82 Avg.Len 35.91 Best.Year 98.7
CVaR -2.7 Num.Trades 153 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 65.2627723860099

##      Jan     Feb     Mar     Apr     May     Jun     Jul     Aug    
## 1997 "   NA" "   NA" "   NA" "   NA" "  2.5" "  4.5" " 12.1" " -5.6"
## 1998 "  5.2" " -1.2" "  7.7" "  1.9" " -2.6" "  2.9" "  0.7" "  9.8"
## 1999 "  4.2" " -9.0" "  1.7" " 23.8" " -4.2" " -0.9" " -1.4" " -0.3"
## 2000 " -1.4" "  3.0" "  6.2" " -3.0" "  0.4" "  6.7" " -4.5" "  4.9"
## 2001 "  3.9" "  3.2" "  1.5" " -3.5" "  1.6" "  1.2" "  8.1" "  3.3"
## 2002 "  2.9" "  3.9" " -6.8" "  8.0" "  3.1" "  5.2" "  7.4" "  6.3"
## 2003 " -2.4" "  6.7" " -1.3" "  0.4" "  6.2" "  8.9" " 10.6" "  1.4"
## 2004 "  4.6" "  6.3" "  0.5" "-11.7" " -1.7" "  1.8" "  3.6" "  8.6"
## 2005 " -0.4" " 18.4" "-13.3" "  7.7" "  5.6" "  3.5" " 10.6" "  6.0"
## 2006 " 17.7" " -2.1" "  1.2" " -1.9" " -0.4" "  0.6" "  5.1" "  2.5"
## 2007 "  0.0" " -2.3" "  4.1" "  1.9" "  4.6" " -1.5" "  6.8" "  6.9"
## 2008 "  6.8" "  2.4" "  2.6" " -3.6" "  1.8" "  3.3" "  1.7" "  3.8"
## 2009 " -5.8" " -1.6" "  6.6" " -5.5" "  8.8" " -1.1" "  5.4" " -0.3"
## 2010 "  7.2" "  0.9" "  4.0" " -0.2" "-12.0" "  7.7" "  2.2" " -2.6"
## 2011 " -0.1" "  8.7" " -3.9" "  3.4" " -4.1" " -2.6" " -2.4" " 11.7"
## 2012 "  2.5" "  5.4" "  8.2" " -1.4" "  8.8" " -1.3" "  1.2" " -0.4"
## 2013 " -3.9" "  3.4" "  7.3" "  4.6" " -4.5" " -7.6" " -1.0" " -3.6"
## 2014 "  9.4" "  1.0" " -0.6" "  1.3" "  3.4" "  4.8" "  2.6" "  7.7"
## 2015 " 13.3" " -6.1" "  2.1" " -1.6" " -1.4" " -5.0" "  3.8" "  0.1"
## 2016 " 10.3" "  4.4" " -0.3" "  1.0" " -3.2" "  9.4" "  0.7" "  0.8"
## 2017 "  0.6" "  2.1" "  0.2" "  3.3" "  8.6" "  1.2" "  7.3" "  4.5"
## 2018 " 13.0" " -2.8" "  3.5" " -3.8" "  2.9" "  0.6" " -1.6" "  3.0"
## 2019 " -0.2" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA" "   NA"
## Avg  "  4.0" "  2.1" "  1.5" "  1.0" "  1.1" "  1.9" "  3.6" "  3.1"
##      Sep     Oct     Nov     Dec     Year    MaxDD  
## 1997 "  4.4" " -3.4" "  0.9" "  3.3" " 19.2" "-10.8"
## 1998 " 11.2" " -2.5" "  6.1" "  8.7" " 57.8" "-10.4"
## 1999 "  3.2" "  0.3" "  2.0" " 22.1" " 44.0" "-14.7"
## 2000 " -7.9" "  2.7" "  6.5" "  7.3" " 21.4" "-10.5"
## 2001 "  7.2" "  6.7" " -7.0" " -3.0" " 24.3" "-14.5"
## 2002 "  7.8" " -3.2" " -5.3" " -4.0" " 26.2" "-12.4"
## 2003 " 10.1" " 18.8" "  1.6" " 11.9" " 98.7" "-10.6"
## 2004 " 11.5" "  4.5" " 15.6" "  8.1" " 61.7" "-21.3"
## 2005 "  8.2" " -3.7" "  1.8" "  6.5" " 59.3" "-18.1"
## 2006 "  0.3" "  9.9" "  7.3" "  6.0" " 55.0" " -6.6"
## 2007 "  4.9" "  6.4" " -4.1" "  0.0" " 30.5" "-11.8"
## 2008 " -0.8" " -1.8" " 15.9" "  7.8" " 46.0" "-13.6"
## 2009 "  3.9" " -2.4" "  3.6" "  1.6" " 12.7" " -9.1"
## 2010 " -0.1" "  3.1" " -4.4" " 10.5" " 15.4" "-18.3"
## 2011 "  3.3" " -2.6" " -0.1" "  4.0" " 14.8" "-17.5"
## 2012 " -1.1" " -0.9" "  4.0" "  6.4" " 35.3" " -9.5"
## 2013 "  5.5" "  4.8" "  4.5" " -6.2" "  1.8" "-22.7"
## 2014 "-10.6" "  4.6" "  3.9" "  0.3" " 29.7" "-14.0"
## 2015 "  4.7" " -2.0" " -1.3" " -1.5" "  3.8" "-14.6"
## 2016 "  2.9" "  0.3" "-12.3" " -0.4" " 12.3" "-18.3"
## 2017 " -1.1" "  5.3" " -0.8" "  3.8" " 40.7" " -7.4"
## 2018 " -3.6" " -1.0" "  4.0" "  8.6" " 23.7" " -9.7"
## 2019 "   NA" "   NA" "   NA" "   NA" " -0.2" " -5.1"
## Avg  "  2.9" "  2.0" "  1.9" "  4.6" " 31.9" "-13.1"
VOO VEA BND VWO LQD TLT SHY IEF
41.2519378 34.613736 -4.01763103 55.5252547 -2.0850810 -9.2477249 -1.7119029 -9.8782270
1.4411161 -6.129696 -5.79442673 0.8325736 -9.6170185 -16.6506651 -1.2242908 -8.4276450
-1.8040397 3.481770 0.26606960 11.4826221 -1.3618059 5.4113494 0.3462167 0.2991361
0.5011327 4.629438 -4.79170923 -10.9361755 -9.6270892 -10.2148588 -1.2249242 -7.2419672
12.6806324 -2.250500 1.90872524 -8.7316456 -0.5229469 7.7796226 1.3418315 2.1142964
10.7917823 -6.443910 -1.31090254 -26.1263588 -5.6410381 0.8941461 0.2724300 -1.0280427
21.9618618 5.058749 -0.03068122 4.1632189 4.1475849 -3.9690240 0.1900515 -1.8542549
26.2515496 -6.074573 2.83082127 -23.4719600 0.6413608 5.3073213 1.6653953 3.6709373
19.3806070 3.713579 -1.95617672 -12.2184784 0.1400336 -13.7337617 -0.1757335 -5.5221441
-20.2834946 -42.434305 -3.94243138 -46.7686752 -9.7675298 -16.5195003 1.1823202 -2.1307625
4.0609263 -12.266966 0.67987603 3.1588462 -5.5557763 -1.7784432 2.0644143 3.6413353
-44.6349654 -40.213461 8.09367151 -24.1795863 4.3604042 22.4684368 4.6658102 14.0645514
10.0752013 11.665746 6.28489094 20.9423736 10.8611220 7.6782542 2.5058989 6.6108696
symbol weight entry.date exit.date nhold entry.price exit.price return
[141,] IEF 300 2016-10-31 2017-02-28 120 105.18 101.56 -10.31
[142,] VOO 300 2017-02-28 2017-03-31 31 208.93 209.21 0.4
[143,] IEF 300 2017-03-31 2017-04-28 28 101.64 102.77 3.33
[144,] VEA 250 2017-04-28 2017-05-31 33 37.99 39.28 8.53
[145,] VEA 200 2017-05-31 2017-06-30 30 39.28 39.53 1.27
[146,] VEA 250 2017-06-30 2017-07-31 31 39.53 40.67 7.2
[147,] VWO 150 2017-07-31 2017-08-31 31 41.19 42.43 4.5
[148,] VWO 200 2017-08-31 2017-09-29 29 42.43 42.22 -0.99
[149,] VEA 300 2017-09-29 2017-10-31 32 41.7 42.44 5.32
[150,] VWO 200 2017-10-31 2017-11-30 30 43.25 43.1 -0.67
[151,] VOO 300 2017-11-30 2017-12-29 29 237.59 240.64 3.85
[152,] VWO 150 2017-12-29 2018-01-31 33 44.7 48.52 12.84
[153,] IEF 300 2018-01-31 2019-01-29 363 100.96 104.16 9.5
System Trade Period
Period Apr1997 - Jan2019 Win.Percent 69.9 Win.Percent.Day 51.7
Cagr 32.3 Avg.Trade 4.3 Best.Day 6.9
Sharpe 1.5 Avg.Win 7.6 Worst.Day -7.3
DVR 1.25 Avg.Loss -3.5 Win.Percent.Month 65.6
Volatility 19.1 Best.Trade 24.06 Best.Month 23.8
MaxDD -22.75 Worst.Trade -11.99 Worst.Month -13.3
AvgDD -2.89 WinLoss.Ratio 2.19 Win.Percent.Year 91.3
VaR -1.82 Avg.Len 35.91 Best.Year 98.7
CVaR -2.7 Num.Trades 153 Worst.Year -0.2
Exposure 95.93
Roll.TwelveM 65.2627723860099

Compare all portfolios

vaa.g4.t1.b1.l1 vaa.g4.t1.b1.lv vaa.g4.t1.b1.lv3 vaa.g4.t1.b1.lv3.c vaa.g4.t1.b1.lv3.c.s vaa.g4.t1.b1.lv3.m6d
Period Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019 Apr1996 - Jan2019
Cagr 33.73 41.85 29.76 29.32 29.1 30.68
Sharpe 1.29 1.7 1.54 1.52 1.52 1.5
DVR 1.04 1.2 1.22 1.2 1.21 1.23
Volatility 25.1 21.98 18 18 17.86 19.1
MaxDD -31.08 -24.49 -20.29 -20.29 -18.34 -22.75
AvgDD -3.7 -3.04 -2.7 -2.72 -2.74 -2.88
VaR -2.17 -2.07 -1.72 -1.73 -1.73 -1.82
CVaR -3.83 -3.04 -2.66 -2.66 -2.64 -2.7
Exposure 95.93 95.93 95.93 95.93 95.93 95.93